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Modelling and forecasting temperature based weather derivatives

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  • Svec, J.
  • Stevenson, M.
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    File URL: http://www.sciencedirect.com/science/article/B6W4F-4NCR97C-1/2/357d293b5c5a666eb26a0aed5b6169a6
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    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 18 (2007)
    Issue (Month): 2 ()
    Pages: 185-204

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    Handle: RePEc:eee:glofin:v:18:y:2007:i:2:p:185-204

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    Web page: http://www.elsevier.com/locate/inca/620162

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Peter Alaton & Boualem Djehiche & David Stillberger, 2002. "On modelling and pricing weather derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 1-20.
    2. Dorje Brody & Joanna Syroka & Mihail Zervos, 2002. "Dynamical pricing of weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 2(3), pages 189-198.
    3. Teddy Oetomo & Max Stevenson, 2005. "Hot or Cold? A Comparison of Different Approaches to the Pricing of Weather Derivatives," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(2), pages 101-133, August.
    4. M. Davis, 2001. "Pricing weather derivatives by marginal value," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 305-308.
    5. Lin Shinn-Juh & Stevenson Maxwell, 2001. "Wavelet Analysis of the Cost-of-Carry Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-17, April.
    6. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
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    Cited by:
    1. Šaltytė Benth, Jūratė & Benth, Fred Espen, 2012. "A critical view on temperature modelling for application in weather derivatives markets," Energy Economics, Elsevier, vol. 34(2), pages 592-602.
    2. Matthias Ritter, 2012. "Can the market forecast the weather better than meteorologists?," SFB 649 Discussion Papers SFB649DP2012-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Amaral, Luiz Felipe & Souza, Reinaldo Castro & Stevenson, Maxwell, 2008. "A smooth transition periodic autoregressive (STPAR) model for short-term load forecasting," International Journal of Forecasting, Elsevier, vol. 24(4), pages 603-615.

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